Shapley-based risk rankings: some theoretical considerations-Reference-Cited by-同舟云学术

Shapley-based risk rankings: some theoretical considerations

Published:2023-10-17 Issue: Volume: Page:
ISSN:1865-1704
Container-title:International Review of Economics
language:en
Short-container-title:Int Rev Econ

Author:

Hiller Tobias

Abstract

AbstractIn this note, we enhance the analysis done by Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021). Whereas their articles uses several simulation settings to illustrate that cooperative game theory may have the potential to solve the low-risk puzzle, we calculate for the three-asset case the conditions for partial ranking corrections between assets. Hence, our note could be interpreted as theoretical counterpart to Auer and Hiller (Int J Finance Econ 24(2):884–889, 2019; Manag Decis Econ 42(4):876–884, 2021).

Funder

Universität Leipzig

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance

Link

https://link.springer.com/content/pdf/10.1007/s12232-023-00434-7.pdf

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